Globally, the total estimated number of people living with depression increased by 18.4% between 2005 and 2015, with the prevalence being 4.8% in 2015. Many nutrient and diet patterns are proven to be correlated to depression, so we conducted this analysis to explore whether the Healthy Eating Index 2015 (HEI-2015) score is associated with depression, and possibly to provide dietary measures to reduce the risk of depression. Data came from the National Health and Nutrition Examination Survey (2005-2016), a cross-sectional and nationally representative database. The analytic sample was limited to adults: (1) age ≥20 with complete information of HEI-2015 and depression; (2) no missing data of demographics, BMI, drinking, smoking, and fasting plasma glucose. HEI-2015 was calculated using the Dietary Interview: Total Nutrient Intakes, First Day data file. Depression was assessed using the Patient Health Questionnaire-9 (PHQ-9). Weighted logistic regression models were used to explore the relationship between the HEI-2015 score and depression. The final study sample included 10,349 adults, with 51.4% of them being men, representing a population of about 167.8 million non-institutionalized U.S. adults. After multivariable adjustment, average HEI status (OR: 0.848, 95% CI: 0.846-0.849) and optimal HEI status (OR: 0.455, 95% CI: 0.453-0.456) were associated with reduced odds of depression. Poor diet quality is significantly associated with elevated depressive symptoms in U.S. adults. Aligning with the Dietary Guidelines for Americans reduces the risk of depression.